For the single-period evolution in the preceding figure, consider a caplet with maturity time 1 with strike

Question:

For the single-period evolution in the preceding figure, consider a caplet with time 1 with strike rate k = 0.03.
a. What is the value of this caplet at time 0?
b. What is the delta for this caplet in terms of the three-period zero-coupon bond?
Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...